A股市场特质波动率与股票预期超额回报率的关系研究——兼与美国股市对比

Study on the Relationship between Idiosyncratic Volatility and Expected Stock Excess Returns in the A-Share Market—A Comparative Study with the U.S. Stock Market

摘要: 资产定价一直是国内外学者研究的热门话题之一。本文选取了2015~2022年间我国沪深A股和美国股票市场共同作为研究对象，采用Fama-MacBeth横截面回归和分位数回归对比探究特质风险与股票预期超额回报率之间的相关关系。实证结果表明：FM回归结果中，沪深A股市场的特质波动率与股票预期回报率之间呈现显著的负相关关系，而美国股票市场上两者之间关系为负但不显著；分位数回归结果显示：我国沪深A股和美国股票市场的特质波动率与股票预期超额回报率在低分位水平下显著负相关，而在高分位水平下显著正相关，并且美国股票市场呈现正相关的分位点多于我国股票市场。

Abstract: Asset pricing has been one of the popular research topics among scholars at home and abroad. This paper selects the A-share market in Shanghai and Shenzhen, China, and the U.S. stock market from 2015 to 2022 as research subjects. Using Fama-MacBeth cross-sectional regression and quantile regression, the study explores the relationship between idiosyncratic risk and expected excess stock returns. The empirical results indicate that in the Fama-MacBeth regression, there is a significant negative correlation between idiosyncratic volatility and expected stock returns in the A-share market, whereas in the U.S. stock market, the relationship is negative but not significant. The quantile regression results show that the idiosyncratic volatility and expected excess stock returns are significantly negatively correlated to lower quantiles and significantly positively correlated at higher quantiles in both markets. Additionally, the U.S. stock market exhibits more positive correlation quantile points than the Chinese A-share market.